Some asymptotics for short maturity Asian options.
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| Title: | Some asymptotics for short maturity Asian options. |
|---|---|
| Authors: | Shoshi, Humayra1 (AUTHOR), SenGupta, Indranil2,3 (AUTHOR) isengupt@fiu.edu |
| Source: | Stochastic Models. 2025, Vol. 41 Issue 3, p356-382. 27p. |
| Subjects: | Asymptotic analysis, Large deviation theory, Financial instruments, Derivative securities, Market value |
| Abstract: | Most of the existing methods for pricing Asian options are less efficient in the limit of small maturities and small volatilities. In this article, we use the large deviations theory for the analysis of short-maturity Asian options. We present a constant volatility model for the underlying market that incorporates a jump term in addition to the drift and diffusion terms. We estimate the asymptotics for the out-of-the-money, in-the-money, and at-the-money short-maturity Asian call and put options. Under appropriate assumptions, we show that the asymptotics for out-of-the-money Asian call and put options are governed by rare events. For the at-the-money Asian options, the result is more involved and in that case, we find the upper and lower bounds of the asymptotics of the Asian option price. [ABSTRACT FROM AUTHOR] |
| Copyright of Stochastic Models is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) | |
| Database: | Engineering Source |
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| Header | DbId: egs DbLabel: Engineering Source An: 186874811 AccessLevel: 6 PubType: Academic Journal PubTypeId: academicJournal PreciseRelevancyScore: 0 |
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| Items | – Name: Title Label: Title Group: Ti Data: Some asymptotics for short maturity Asian options. – Name: Author Label: Authors Group: Au Data: <searchLink fieldCode="AR" term="%22Shoshi%2C+Humayra%22">Shoshi, Humayra</searchLink><relatesTo>1</relatesTo> (AUTHOR)<br /><searchLink fieldCode="AR" term="%22SenGupta%2C+Indranil%22">SenGupta, Indranil</searchLink><relatesTo>2,3</relatesTo> (AUTHOR)<i> isengupt@fiu.edu</i> – Name: TitleSource Label: Source Group: Src Data: <searchLink fieldCode="JN" term="%22Stochastic+Models%22">Stochastic Models</searchLink>. 2025, Vol. 41 Issue 3, p356-382. 27p. – Name: Subject Label: Subjects Group: Su Data: <searchLink fieldCode="DE" term="%22Asymptotic+analysis%22">Asymptotic analysis</searchLink><br /><searchLink fieldCode="DE" term="%22Large+deviation+theory%22">Large deviation theory</searchLink><br /><searchLink fieldCode="DE" term="%22Financial+instruments%22">Financial instruments</searchLink><br /><searchLink fieldCode="DE" term="%22Derivative+securities%22">Derivative securities</searchLink><br /><searchLink fieldCode="DE" term="%22Market+value%22">Market value</searchLink> – Name: Abstract Label: Abstract Group: Ab Data: Most of the existing methods for pricing Asian options are less efficient in the limit of small maturities and small volatilities. In this article, we use the large deviations theory for the analysis of short-maturity Asian options. We present a constant volatility model for the underlying market that incorporates a jump term in addition to the drift and diffusion terms. We estimate the asymptotics for the out-of-the-money, in-the-money, and at-the-money short-maturity Asian call and put options. Under appropriate assumptions, we show that the asymptotics for out-of-the-money Asian call and put options are governed by rare events. For the at-the-money Asian options, the result is more involved and in that case, we find the upper and lower bounds of the asymptotics of the Asian option price. [ABSTRACT FROM AUTHOR] – Name: AbstractSuppliedCopyright Label: Group: Ab Data: <i>Copyright of Stochastic Models is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.) |
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| RecordInfo | BibRecord: BibEntity: Identifiers: – Type: doi Value: 10.1080/15326349.2024.2394818 Languages: – Code: eng Text: English PhysicalDescription: Pagination: PageCount: 27 StartPage: 356 Subjects: – SubjectFull: Asymptotic analysis Type: general – SubjectFull: Large deviation theory Type: general – SubjectFull: Financial instruments Type: general – SubjectFull: Derivative securities Type: general – SubjectFull: Market value Type: general Titles: – TitleFull: Some asymptotics for short maturity Asian options. Type: main BibRelationships: HasContributorRelationships: – PersonEntity: Name: NameFull: Shoshi, Humayra – PersonEntity: Name: NameFull: SenGupta, Indranil IsPartOfRelationships: – BibEntity: Dates: – D: 01 M: 07 Text: 2025 Type: published Y: 2025 Identifiers: – Type: issn-print Value: 15326349 Numbering: – Type: volume Value: 41 – Type: issue Value: 3 Titles: – TitleFull: Stochastic Models Type: main |
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